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PostPosted: Mon Sep 22, 2014 2:36 am 
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Joined: Thu Sep 18, 2014 5:32 pm
Posts: 28
Hi
I am subscribed to Market Depth for futures in IQFeed.
I can see for NYMEX say the 10 best bids and offers.

Yet in OpenQuant when I run Data Capture or Quote Viewer, no Market Depth is displayed or recorded.

I cross checked that OpenQuant can do this for IB FX data successfully.

Why is Market Depth not recording in OpenQuant? Is it not enabled? Please advise.

Thanks


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PostPosted: Mon Sep 22, 2014 9:44 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6808
Hi,

historically IQFeed plugin was developed by a third party developer and it doesn't support Level2 data. One of the reasons is the fact that IQFeed Level2 feed is a collection of best bid/ask quotes from different market makers, but not aggregated order book http://forums.dtniq.com/index.cfm?page= ... picID=2588 . Perhaps this situation has changed and we should look back into Level2 support.

Regards,
Anton


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PostPosted: Mon Sep 22, 2014 10:10 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6808
Hi again,

actually I've misleaded you. Level2 is implemented in the adapter. We will check that it works when US markets are up and let you know.

Regards,
Anton


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PostPosted: Mon Sep 22, 2014 5:23 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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We've checked it with futures market depth and it works. Could you try to get the order book view for futures?

Image


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PostPosted: Tue Sep 23, 2014 5:31 am 
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Joined: Thu Sep 18, 2014 5:32 pm
Posts: 28
I can see depths in IQ Market depth viewer application that comes with IQfeed.

In Quote Monitor I can see best bid price, best bid size, best ask price and best ask size.

I can open Quote Monitor / right click symbol -> view order book. This shows an empty order book pop up that never updates.

Can you specify your complete symbol definition for @ESZ14.


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PostPosted: Tue Sep 23, 2014 8:28 am 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 441
Hello, Peek.
I will try to help you with L2.
First of all you should verify that parameter UseLevel2=true in IQFeed adapter settings.
For ESZ ticker you should enter symbol only.


Attachments:
File comment: ESZ settings
esz14.png
esz14.png [ 11.81 KiB | Viewed 6286 times ]
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PostPosted: Tue Sep 23, 2014 3:09 pm 
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Joined: Thu Sep 18, 2014 5:32 pm
Posts: 28
Issue solved : parameter UseLevel2=false in IQFeed adapter settings changed to UseLevel2=true


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